private void StartBackTest()
{
DateTime today = btParameter.StartDate.Date;
MarketTimeRange marketRange = MarketTimeRange.getTimeRange(securityInfo.Market);
int totalcount = this.policys.Count;
DataMonitor da = new DataMonitor();
Parallel.For(0, totalcount, (j, LoopState) =>
{
RunningPolicy policy = policys[j];
Guid g = policy.PolicyGuid;
string backtesttitle = policy.getBackTestTitle();
PolicyStarted(new BackTestStartEventArgs(backtesttitle, g));
policy.PolicyResult_Arrival += policy_PolicyResult_Arrival;
});
while (today <= btParameter.EndDate.Date)
{
string name = ConfigFileName.HistoryDataFileName + "\\Okex%" + securityInfo.Code + "%" + today.ToString("yyyyMMdd") + ".csv";
//string name = ConfigFileName.HistoryDataFileName + "\\XBTUSD-" + today.ToString("yyyyMMdd") + ".csv";
PolicyLoading(name);
DataTable tickdatas = CSVFileHelper.OpenCSV(name);
List <TickData> list_tickdata = new List <TickData>();
for (int i = 0; i < tickdatas.Rows.Count; i++)
{
DataRow dr = tickdatas.Rows[i];
DateTime tickTime = System.Convert.ToDateTime(dr["timestamp"].ToString().Replace("D", " ").Substring(0, 23));
//TickData tickdata = TickData.ConvertFromDataRow(dr);
TickData tickdata = new TickData();
tickdata.Code = dr["symbol"].ToString();
tickdata.SecInfo = this.securityInfo;
tickdata.Time = tickTime;
tickdata.Preclose = 0;
tickdata.Open = 0;
tickdata.High = 0;
tickdata.Low = 0;
tickdata.Ask = System.Convert.ToDouble(dr["askPrice"]);
tickdata.Bid = System.Convert.ToDouble(dr["bidPrice"]);
tickdata.Last = (tickdata.Ask + tickdata.Bid) / 2;
tickdata.Volume = 0;
tickdata.Amt = 0;
tickdata.IsReal = false;
tickdata.Asks[0] = tickdata.Ask;
tickdata.Bids[0] = tickdata.Bid;
list_tickdata.Add(tickdata);
}
Parallel.For(0, totalcount, (j, LoopState) =>
{
RunningPolicy policy = policys[j];
//policy.PolicyMessage_Arrival += policy_PolicyMessage_Arrival;
//da.Simulator(tickdatas, policy.PolicyDataReceiver, policy.Inteval);
da.BackSimulator(list_tickdata, policy.PolicyDataReceiver, 0);
PolicyDataFinished();
});
list_tickdata.Clear();
today = today.AddDays(1);
}
Parallel.For(0, totalcount, (j, LoopState) =>
{
Stopwatch sw = new Stopwatch();
RunningPolicy policy = policys[j];
Guid g = policy.PolicyGuid;
PolicyFinished(g, sw.Elapsed);
policy.PolicyResult_Arrival -= policy_PolicyResult_Arrival;
sw.Stop();
});
RaiseFinished(new EventArgs());
}
public void Simulator(SecurityInfo si, DateTime startDate, DateTime endDate, DataReceiver da, int interval, bool needSimulte = false)
{
if (needSimulte)
{
DateTime today = startDate.Date;
MarketTimeRange marketRange = MarketTimeRange.getTimeRange(si.Market);
while (today <= endDate)
{
//DataTable tickdatas = CSVFileHelper.OpenCSV(ConfigFileName.HistoryDataFileName + "\\Okex%" + si.Code + "%" + today.ToString("yyyyMMdd") + ".csv");
//DataTable tickdatas = CSVFileHelper.OpenCSV(ConfigFileName.HistoryDataFileName + "\\" + si.Code + "-" + today.ToString("yyyyMMdd") + ".csv");
DataTable tickdatas = new DataTable();
try
{
tickdatas = CSVFileHelper.OpenCSV(ConfigFileName.HistoryDataFileName + "\\" + si.Code + "%" + today.ToString("yyyyMMdd") + ".csv");
}
catch { }
if (tickdatas.Rows.Count > 0)
{
for (int i = 0; i < tickdatas.Rows.Count; i++)
{
try
{
DataRow dr = tickdatas.Rows[i];
DateTime tickTime = System.Convert.ToDateTime(dr["timestamp"].ToString());
//DateTime tickTime = System.Convert.ToDateTime(dr["timestamp"].ToString().Replace("D", " ").Substring(0, 23));
TickData tickdata = new TickData();
tickdata.Code = si.Code;
tickdata.SecInfo = GlobalValue.GetFutureByCodeAndMarket(tickdata.Code, si.Market);
tickdata.Time = tickTime;
tickdata.Preclose = 0;
tickdata.Open = 0;
tickdata.High = 0;
tickdata.Low = 0;
tickdata.Ask = System.Convert.ToDouble(dr["askPrice"].ToString());
tickdata.Bid = System.Convert.ToDouble(dr["bidPrice"].ToString());
//tickdata.Last = System.Convert.ToDouble(dr["lastPrice"].ToString());
tickdata.Last = (tickdata.Ask + tickdata.Bid) / 2;
tickdata.Volume = 0;
tickdata.Amt = 0;
tickdata.IsReal = false;
for (int j = 0; j < 10; j++)
{
tickdata.Asks[j] = tickdata.Ask;
tickdata.Bids[j] = tickdata.Bid;
tickdata.Asksizes[j] = System.Convert.ToDouble(dr["askSize"]);
tickdata.Bidsizes[j] = System.Convert.ToDouble(dr["bidSize"]);
}
da.DataArrival(tickdata);
if (interval != 0)
{
Thread.Sleep(interval);
}
}
catch { }
}
}
today = today.AddDays(1);
}
//DataTable tickdatas = CSVFileHelper.OpenCSV(ConfigFileName.HistoryDataFileName + "\\rb15.csv");
////DataTable tickdatas = CSVFileHelper.OpenCSV(ConfigFileName.HistoryDataFileName + "\\XBTUSD-" + today.ToString("yyyyMMdd") + ".csv");
//if (tickdatas.Rows.Count > 0)
//{
// for (int i = 0; i < tickdatas.Rows.Count; i++)
// {
// DataRow dr = tickdatas.Rows[i];
// DateTime tickTime = System.Convert.ToDateTime(dr["timestamp"].ToString());
// //TickData tickdata = TickData.ConvertFromDataRow(dr);
// TickData tickdata = new TickData();
// tickdata.Code = "rb";
// tickdata.SecInfo = GlobalValue.GetFutureByCode(tickdata.Code);
// tickdata.Time = tickTime;
// tickdata.Preclose = 0;
// tickdata.Open = 0;
// tickdata.High = 0;
// tickdata.Low = 0;
// tickdata.Ask = System.Convert.ToDouble(dr["open"]);
// tickdata.Bid = System.Convert.ToDouble(dr["high"]);
// tickdata.Last = System.Convert.ToDouble(dr["close"]);
// tickdata.Volume = 0;
// tickdata.Amt = 0;
// tickdata.IsReal = false;
// for (int j = 0; j < 10; j++)
// {
// tickdata.Asks[j] = tickdata.Ask;
// tickdata.Bids[j] = tickdata.Bid;
// }
// da.DataArrival(tickdata);
// if (interval != 0)
// Thread.Sleep(interval);
// }
//}
}
TickData td = new TickData();
td.Code = string.Empty;
try
{
da.DataArrival(td);
}
catch { }
}
